Here's a cheap upgrade that has the best bang for the buck. Intel Pentium D805. It is dual core with x20 multiplier. It's default speed is only 2.66 but with a little overclocking I have mine running at 3.27 on normal air coolingyou can push thi processor higher but will definitely need some serious cooling system. Just get a good motherboard with intel 975/965 chipsets with PCIe slots. Atleast 2Gb of ddr2 800 (PC2 6400) rams and a good video card and either go Crossfire or SLI; A good power supply that supports atx 2.2 (24 pin), PCIe, SATA, 8 Pin EPS connectors.
Currently did a test system with:
Intel Pentium D805
ECS P4M800PRO-M
OCZ 2 Gb DDR2 6400 Gold XTC
ATI X850 XT AGP (salvaged from old PC)
1 80Gb primary HDD (salvaged from old PC)
1 250Gb slave HDD (salvaged from old PC)
2 Optical Drives (salvaged from old PC)
I chose the ECS motherboard because of the slots for memory as it supports both DDR and DDR2 plus an AGP slot which helped me a lot because i didn't want to part ways with my ATI video card yet as it still kicks butt. Since the board is a socket 775, it will support higher end Intel processors except quad cores. So this will give you enough room for growth until you decide to go for Xfire or SLI.
Originally CPU clocks at 2.66 and now running at 3.27. So far I'm able to play Americas Army game with fps between 50-80. Yes it is a FREE game. No need to HACK or CRACK it, just go to americasarmy.com. So far this thing has been running great with no hiccups. I do plan to change the motherboard soon to play with the new Nvidia chipsets (680i) and going SLI. This is coming from an AMD 3200+ processor and MSI motherboard. MSI has left a bad taste in my mouth and I shy away from those motherboards. The next motherboard i plan to acquire will be either an ASUS or Abit.